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題名 臺灣金融拆款市場的議價力
The Bargaining Power in Taiwan Interbank Overnight Market
作者 許涵喻
Hsu, Han Yu
貢獻者 王智賢<br>林玫吟
Wang, JueShyan<br>Lin, Mei Yin
許涵喻
Hsu, Han Yu
關鍵詞 Nash 議價
Tobit model
金融拆款市場
貨幣政策
Bargaining power
Tobit model
Interbank overnight market
日期 2012
上傳時間 1-Jul-2013 17:49:03 (UTC+8)
摘要 參與臺灣金融拆款市場的金融機構，存在不同的借貸差異限制，本文以Bech and Klee (2011) 所設定的議價模型為基礎，探討臺灣金融拆款市場中的議價力。本文進一步以雙方設限的 Tobit model 來估計議價力，並加入異質參與者的拆進與拆出占市場權數為其中的迴歸解釋變數，實證結果發現：公債附條件利率、政策虛擬變數及準備金集中度會顯著的正向影響貸方議價力，此隱含此三個變數與金融拆款利率有同向變動的關係；此外，信託投資公司拆出比例與貸方議價力有顯著負向的關係。最後，本文以模擬的方式預測金融拆款利率在不同情境下的路徑，此部分可印證本文的重要結論。
The rate corridor regime, relying on lending and deposit facilities to set ceilings and floors for interbank overnight rates, has been practiced by many central banks. This paper modifies the theoretical model proposed by Bech and Klee (2011) to discuss the seller’s bargaining power in Taiwan interbank overnight market under rate corridor system. We apply two-limit Tobit model to estimate the bargaining power. The empirical results show that the repo rate, policy indicator and index for reserves concentration have significantly positive relationship with seller’s bargaining power. Meanwhile, the results imply that the interbank overnight rates rise with these three variables. The conclusions could be clearly observed from the predictions on the paths of the interbank overnight rate under various scenarios.
參考文獻 李榮謙 (1998)，「貨幣政策操作目標之抉擇—兼論隔夜利率的情報內涵」，中央銀行季刊，20：1，28-53。
何棟欽 (2001)，「我國新臺幣金融拆款利率與存、放款利率之關係及其傳遞效果的實證研究」，中央銀行季刊，23：3，51-72。
吳懿娟 (2004)，「我國貨幣政策傳遞機制之實證分析」，中央銀行季刊，26：4，51-72。
Bartolini, L., G. Bertola and A. Prati (2001), “Banks’ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention,” Journal of Banking & Finance , 29, 2541–2556.
Bartolini, L., S. Hilton and A. Prati (2008), “Money Market Integration,” Journal of Money, Credit and Banking , 40, 193–213.
Bech, M. L. and E. Klee (2011), “The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market,” Journal of Monetary Economics, 58, 415–431.
Bech, M., E. Klee and V. Stebunovs (2011), “Arbitrage, Liquidity and Exit: The Repo and Federal Funds Markets Before, During, and After the Financial Crisis,” Mimeo, Federal Reserve Board, January.
Binmore, K., A. Rubinstein and A. Wolinsky (1986), “The Nash Bargaining Solution in Economic Modelling,” RAND Journal of Economics, 17, 176–188.
Ennis, H. M. and T. Keister (2008), “Understanding Monetary Policy Implementation,” Economic Quarterly, 235–263.
Furfine, C. H. (1999), “The Microstructure of the Federal Funds Market,” Financial Markets, Institutions and Instruments, 8, 24–44.
Furfine, C. H. (2000), “Interbank Payments and the Daily Federal Funds Rate,” Journal of Monetary Economics, 46, 535–553.
Furfine, C. H. (2001), “Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market,” The Journal of Business, University of Chicago Press, 74, 33–57.
Griffiths, M. D. and D. B. Winters (1997), “The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates,” Journal of Business Finance & Accounting, 24, 815–832.
Papke, L. E. and J. M. Wooldridge (2002), “Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates,” Journal of Applied Econometrics, 11, 619–632.
Thornton, D. L. (2004), “Tests of the Expectations Hypothesis: Resolving the Anomalies when the Short-term Rate is the Federal Funds Rate,” Journal of Banking & Finance , 29, 2541–2556.
描述 碩士
國立政治大學
財政研究所
100255023
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100255023
資料類型 thesis
dc.contributor.advisor 王智賢<br>林玫吟zh_TW
dc.contributor.advisor Wang, JueShyan<br>Lin, Mei Yinen_US
dc.contributor.author (Authors) 許涵喻zh_TW
dc.contributor.author (Authors) Hsu, Han Yuen_US
dc.creator (作者) 許涵喻zh_TW
dc.creator (作者) Hsu, Han Yuen_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-Jul-2013 17:49:03 (UTC+8)-
dc.date.available 1-Jul-2013 17:49:03 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2013 17:49:03 (UTC+8)-
dc.identifier (Other Identifiers) G0100255023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58721-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政研究所zh_TW
dc.description (描述) 100255023zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 參與臺灣金融拆款市場的金融機構，存在不同的借貸差異限制，本文以Bech and Klee (2011) 所設定的議價模型為基礎，探討臺灣金融拆款市場中的議價力。本文進一步以雙方設限的 Tobit model 來估計議價力，並加入異質參與者的拆進與拆出占市場權數為其中的迴歸解釋變數，實證結果發現：公債附條件利率、政策虛擬變數及準備金集中度會顯著的正向影響貸方議價力，此隱含此三個變數與金融拆款利率有同向變動的關係；此外，信託投資公司拆出比例與貸方議價力有顯著負向的關係。最後，本文以模擬的方式預測金融拆款利率在不同情境下的路徑，此部分可印證本文的重要結論。zh_TW
dc.description.abstract (摘要) The rate corridor regime, relying on lending and deposit facilities to set ceilings and floors for interbank overnight rates, has been practiced by many central banks. This paper modifies the theoretical model proposed by Bech and Klee (2011) to discuss the seller’s bargaining power in Taiwan interbank overnight market under rate corridor system. We apply two-limit Tobit model to estimate the bargaining power. The empirical results show that the repo rate, policy indicator and index for reserves concentration have significantly positive relationship with seller’s bargaining power. Meanwhile, the results imply that the interbank overnight rates rise with these three variables. The conclusions could be clearly observed from the predictions on the paths of the interbank overnight rate under various scenarios.en_US
dc.description.tableofcontents 第一章 前言 1
第二章 文獻探討 4
第三章 理論模型介紹 7
第四章 實證分析 10
第一節 實證模型 10
第二節 實證變數的說明 13
第三節 雙方設限Tobit model實證結果 17
第四節 實證與預測分析 21
第五章 結論與建議 25
參考文獻 27




















圖目錄

圖 1：金融機構拆進額（單位：新臺幣百萬元） 2
圖 2：金融機構拆出額（單位：新臺幣百萬元） 2
圖 3：金融拆款市場利率、短期融通利率與準備金乙戶利息 11
圖 4：貸方議價力計算值 11
圖 5：金融拆款利率之預測路徑 – 準備金對數值變動 23
圖 6：金融拆款利率之預測路徑 – 公債附條件交易利率變動 23
圖 7：金融拆款利率之預測路徑 – 金融機構逾放比率變動 24
圖 8：金融拆款利率之預測路徑 – 準備金集中度變動 24



表目錄

表 1： 臺灣金融機構之拆款利率上下限整理 6
表 2： 實證變數之衡量方式與資料來源 15
表 3：實證使用變數基本統計量 16
表 4： 雙方設限Tobit model實證結果 18
表 5： 各解釋變數對貸方議價力影響方向比較表 20
表 6： 各變數平均值 21		zh_TW
dc.format.extent 1597039 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100255023en_US
dc.subject (關鍵詞) Nash 議價zh_TW
dc.subject (關鍵詞) Tobit modelzh_TW
dc.subject (關鍵詞) 金融拆款市場zh_TW
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) Bargaining poweren_US
dc.subject (關鍵詞) Tobit modelen_US
dc.subject (關鍵詞) Interbank overnight marketen_US
dc.title (題名) 臺灣金融拆款市場的議價力zh_TW
dc.title (題名) The Bargaining Power in Taiwan Interbank Overnight Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 李榮謙 (1998)，「貨幣政策操作目標之抉擇—兼論隔夜利率的情報內涵」，中央銀行季刊，20：1，28-53。
何棟欽 (2001)，「我國新臺幣金融拆款利率與存、放款利率之關係及其傳遞效果的實證研究」，中央銀行季刊，23：3，51-72。
吳懿娟 (2004)，「我國貨幣政策傳遞機制之實證分析」，中央銀行季刊，26：4，51-72。
Bartolini, L., G. Bertola and A. Prati (2001), “Banks’ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention,” Journal of Banking & Finance , 29, 2541–2556.
Bartolini, L., S. Hilton and A. Prati (2008), “Money Market Integration,” Journal of Money, Credit and Banking , 40, 193–213.
Bech, M. L. and E. Klee (2011), “The Mechanics of a Graceful Exit: Interest on Reserves and Segmentation in the Federal Funds Market,” Journal of Monetary Economics, 58, 415–431.
Bech, M., E. Klee and V. Stebunovs (2011), “Arbitrage, Liquidity and Exit: The Repo and Federal Funds Markets Before, During, and After the Financial Crisis,” Mimeo, Federal Reserve Board, January.
Binmore, K., A. Rubinstein and A. Wolinsky (1986), “The Nash Bargaining Solution in Economic Modelling,” RAND Journal of Economics, 17, 176–188.
Ennis, H. M. and T. Keister (2008), “Understanding Monetary Policy Implementation,” Economic Quarterly, 235–263.
Furfine, C. H. (1999), “The Microstructure of the Federal Funds Market,” Financial Markets, Institutions and Instruments, 8, 24–44.
Furfine, C. H. (2000), “Interbank Payments and the Daily Federal Funds Rate,” Journal of Monetary Economics, 46, 535–553.
Furfine, C. H. (2001), “Banks as Monitors of Other Banks: Evidence from the Overnight Federal Funds Market,” The Journal of Business, University of Chicago Press, 74, 33–57.
Griffiths, M. D. and D. B. Winters (1997), “The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates,” Journal of Business Finance & Accounting, 24, 815–832.
Papke, L. E. and J. M. Wooldridge (2002), “Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates,” Journal of Applied Econometrics, 11, 619–632.
Thornton, D. L. (2004), “Tests of the Expectations Hypothesis: Resolving the Anomalies when the Short-term Rate is the Federal Funds Rate,” Journal of Banking & Finance , 29, 2541–2556.		zh_TW